Charfeddine, Lanouar; Ajmi, Ahdi Noomen - In: Emerging Markets Review 16 (2013) C, pp. 170-182
This paper investigates the dilemma of long memory versus a switching regime for the Tunisian stock market index volatility. Precisely, different specifications of the Fractionally Integrated GARCH (FIGARCH) model of Baillie et al. (1996) and Switching ARCH (SWARCH) model of Hamilton and Susmel...